The study of how markets actually function at the order level — the mechanics of bids, offers, the limit order book, matching engines, and how individual transactions aggregate into price discovery. In an order flow context, market microstructure is the foundation that explains why traded volume (what actually executed) is informative while displayed volume (resting orders) is only a statement of intent that can be withdrawn. Every footprint signal traces back to a microstructural event: an aggressor crossed the spread, a passive resting order was consumed, or the book refreshed.